Openvpn – Trying to set up OpenVPN server on a vps

I'm trying to set up an OpenVPN server on my VPS for myself when I'm in public places, using this tutorial, http://tipupdate.com/how-to-install-openvpn-on-ubuntu-vps/

However whenever I try to start the server, it gives me this,

root@vps:~# /etc/init.d/openvpn start
 * Starting virtual private network daemon(s)...                                                                 *   Autostarting VPN 'server'                                                                           [fail]

The log contains this

Tue Dec 11 10:53:32 2012 Diffie-Hellman initialized with 1024 bit key
Tue Dec 11 10:53:32 2012 /usr/bin/openssl-vulnkey -q -b 1024 -m <modulus omitted>
Tue Dec 11 10:53:33 2012 TLS-Auth MTU parms [ L:1542 D:138 EF:38 EB:0 ET:0 EL:0 ]
Tue Dec 11 10:53:33 2012 ROUTE: default_gateway=UNDEF
Tue Dec 11 10:53:33 2012 Note: Cannot open TUN/TAP dev /dev/net/tun: No such file or directory (errno=2)
Tue Dec 11 10:53:33 2012 Note: Attempting fallback to kernel 2.2 TUN/TAP interface
Tue Dec 11 10:53:33 2012 Cannot allocate TUN/TAP dev dynamically
Tue Dec 11 10:53:33 2012 Exiting

So obviously it's something to do with the tun, but I don't understand how to fix it.

Thanks!